Jiaxuan Ye, Worcester Polytechnic Institute

Abstract: This paper studies Mean Field Games with a common noise given by a continuous time Markov chain under a Quadratic cost structure. The theory implies that the optimal path under the equilibrium is a Gaussian process conditional on the common noise. Interestingly, it reveals the Markovian structure of the random equilibrium measure flow, which can be characterized via a deterministic finite dimensional system.

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